Models

Equity and Multi-asset factor models for all countries and regions of consequence

EMA offers a broad range of single and multi-asset class models focussed on different investment regions.

Regional and country models are built using data specific to that region/country, with a broader universe of securities included in the data set at the final stage to allow enhanced cross border analysis.

All equity models include all but the most illiquid global equities, all currencies, spot commodities, equity derivatives and many funds and indices. Other assets may be added to the model by the user. Multi-asset models extend the coverage to fixed income assets and derivatives.

Where the model includes a large number of assets that are sufficiently liquid to trade actively on a daily basis, EMA supplies a “FASTVaR” extension to the model which projects forwards the variances of the model factors to produce a short-term risk forecast with a user-set horizon from 1 day to 1 month (20 trading days).

The current model set is as follows:

Multi-Asset

Global Mixedf

Global Bondf

Global Equityf

World Mixedf

EM Bond

Equity – OECD

Australiaf

Canadaf

Francef

Germanyf

Hong Kong

Italy

Singapore

South Koreaf

Spain

Sweden

Switzerland

Taiwanf

Equity – Major

Africa

Africa ex SA

Brazil

Chinaf

Dragonf

GEMf

Indiaf

Israel

Latin America

Malaysia

MENA

Pakistan

Philippines

Poland

Russia

South Africa

Thailand

Turkey

Vietnam

Equity – Major

Asiaf

Asia ex Japanf

EAFEf

Europef

Europe ex UKf

Japanf

North Americaf

UKf

USAf

Worldf

where F superscript denotes that a FASTVaR extension is available

The models may be used with the EMA applications or the data may be licensed separately.